Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0638
Annualized Std Dev 0.2463
Annualized Sharpe (Rf=0%) 0.2589

Row

Daily Return Statistics

Close
Observations 5082.0000
NAs 1.0000
Minimum -0.1424
Quartile 1 -0.0068
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0082
Maximum 0.1415
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0155
Skewness -0.2374
Kurtosis 7.0216

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0106
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0158
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.6319
Historical VaR (95%) -0.0241
Historical ES (95%) -0.0367
Modified VaR (95%) -0.0240
Modified ES (95%) -0.0424
From Trough To Depth Length To Trough Recovery
2000-10-02 2002-10-09 2007-04-16 -0.6319 1578 452 1126
2007-10-11 2009-03-09 2010-12-10 -0.6037 798 353 445
2018-09-04 2020-03-23 2020-11-23 -0.4301 561 390 171
2011-07-08 2011-10-03 2012-03-26 -0.2641 181 61 120
2015-06-23 2016-02-11 2016-11-14 -0.2337 354 162 192

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA NA NA NA -3.3 1.4 -1.5 -3.3
2001 -1.2 -2.2 -1.1 1.9 0.5 1.6 1.1 1.2 -2 2.1 -1.3 -1.4 -0.7
2002 -1 2.9 -0.9 -0.8 -0.3 -4.6 -1.1 -1.6 -0.2 1.2 0.2 1.3 -5
2003 0.1 0.9 0 0.4 2.3 1.1 -1.3 0.9 2.1 -0.1 1.5 -0.7 7.2
2004 0.5 1.7 0.5 -0.9 0.7 -1.1 0.9 1.4 1.5 0.4 1.6 -0.2 7.3
2005 0.8 0.8 -0.6 -0.1 0.2 -0.2 0.3 0.6 0.9 -0.4 1.6 -0.5 3.5
2006 0.2 1.4 0.3 -0.3 2.3 1 -1.8 0.2 -0.6 -1.9 -1.1 -0.7 -1
2007 0.7 -0.1 0 0 0.8 -0.4 0.1 1.3 1.9 -2.6 0.2 -0.7 1.3
2008 2.6 -2.6 2.7 1.1 0.4 0 0.2 -1.2 -1.4 1.7 -9.4 2.8 -3.6
2009 -2 -0.8 0.6 0.4 4.4 1.3 0.4 -2.7 -3.5 -3.2 2 -1 -4.3
2010 1.7 2.1 1 -2.5 -2.8 -0.8 -0.3 3.3 0.3 -1.1 2.1 -1.4 1.3
2011 1.7 -1.3 0.4 0.3 -2.5 1.3 -0.8 -1.6 -1.9 -3.2 0.9 -0.6 -7.3
2012 2.1 1.1 0 0.3 -2.5 3.2 -1.6 0.2 -0.1 1.2 -0.2 1.4 5.2
2013 1.3 0 -1.3 -1.8 -0.8 1.6 1.3 -1.2 1.2 -0.8 0.2 0.2 -0.2
2014 -0.8 -0.4 1.2 0.3 -0.4 1.5 -0.6 0.3 -2 1.8 -1.5 -0.5 -1.1
2015 -1.8 -0.2 0 0.6 0.4 0.5 0.4 -2.7 -0.2 -0.2 0.7 -1.5 -4
2016 0 2.1 0.3 -0.7 1 0.2 -0.1 0.1 1.2 -1.5 -0.3 -0.4 2
2017 -0.1 1.7 0.2 0.7 1.8 0 0.3 0.7 0.3 -0.5 -0.8 -0.9 3.4
2018 0.6 -0.7 1.1 0.7 0.9 -0.1 0.3 0.7 -1.6 2.5 0.8 0.7 5.8
2019 -0.3 0.6 0.9 -0.7 -1.2 0.4 -1.1 -0.3 -1.9 1.3 -0.5 0.2 -2.8
2020 -2.4 -1.7 -7.1 -3.8 0.9 -1.1 -0.4 1.2 1.4 -1.3 1 -0.1 -13
2021 2.1 3.2 0.6 NA NA NA NA NA NA NA NA NA 6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-09-29  25.1 SPY    144. -0.0171   -0.0114  -0.0447  -0.0114   0.118        NA       NA <NA>     NA    NA       NA
2 2000-10-02  24.4 SPY    144.  0.0015   -0.0022  -0.0558  -0.0233   0.100        NA       NA <NA>     NA    NA       NA
3 2000-10-03  24.2 SPY    142. -0.00930   0.0007  -0.0648  -0.0147   0.0909       NA       NA <NA>     NA    NA       NA
4 2000-10-04  23.8 SPY    144.  0.0083    0.0037  -0.0502  -0.0142   0.0834       NA       NA <NA>     NA    NA       NA
5 2000-10-05  23.8 SPY    144.  0.0035   -0.0133  -0.0373  -0.0264   0.0934       NA       NA <NA>     NA    NA       NA
6 2000-10-06  22.6 SPY    141. -0.0217   -0.0178  -0.0648  -0.0459   0.0537       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart